Analytical pricing of continuous arithmetic Asian options using Fourier transforms

The second-order partial differential equation associated with the problem of pricing continuous arithmetic Asian options is presented, together with the application of the Fourier transform on the terms of the resulting equation after a series of variable changes. An analytical solution is obtained...

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Detalles Bibliográficos
Autores Principales: Guavita F, Diana L., Moreno T., John F.
Formato: Artículo (Article)
Lenguaje:Español (Spanish)
Publicado: Facultad de Finanzas, Gobierno y Relaciones Internacionales 2020
Acceso en línea:https://revistas.uexternado.edu.co/index.php/odeon/article/view/6567